Business Situation

Banks are allowed to calculate their own risk parameter estimates for regulatory capital calculation under Basel II. This is known as internal ratings-based approach for credit risk parameters. For this approaches a bank should take two major steps:

• Exposure categorization (according to Basel II definitions)
• Estimate risk parameters, probability of default (PD), loss given default (LGD), exposure at default (EAD), maturity (M) as inputs to risk weight functions

 

Our approach & Solution

As CALIGO we provide tailor-made model development and validation projects for all risk parameters both in hand-on development and methodological advisory. We start with the current situation analysis, define the development points and build modelling structure on top of these analyses.

Technologies

There are two parts of technological requirements for risk parameters:

• Model Development: Our models can be developed on R, Python, SAS or KNIME
• Model Implementation: Developed models can be implemented on your current risk solutions